Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0108 |
| Annualized Std Dev | 0.1823 |
| Annualized Sharpe (Rf=0%) | -0.0592 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4628.0000 |
| NAs | 1.0000 |
| Minimum | -0.1952 |
| Quartile 1 | -0.0037 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0044 |
| Maximum | 0.2785 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0001 |
| Stdev | 0.0115 |
| Skewness | 1.2014 |
| Kurtosis | 108.7533 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0083 |
| Gain Deviation | 0.0093 |
| Loss Deviation | 0.0101 |
| Downside Deviation (MAR=210%) | 0.0129 |
| Downside Deviation (Rf=0%) | 0.0083 |
| Downside Deviation (0%) | 0.0083 |
| Maximum Drawdown | 0.6749 |
| Historical VaR (95%) | -0.0134 |
| Historical ES (95%) | -0.0264 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-04-03 | 2008-12-15 | NA | -0.6749 | 3517 | 431 | NA |
| 2002-10-30 | 2004-05-13 | 2005-06-07 | -0.1459 | 655 | 387 | 268 |
| 2006-01-09 | 2006-04-19 | 2006-11-30 | -0.1009 | 227 | 70 | 157 |
| 2005-09-14 | 2005-10-20 | 2005-12-27 | -0.0567 | 73 | 27 | 46 |
| 2006-12-07 | 2007-01-24 | 2007-03-27 | -0.0378 | 74 | 31 | 43 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0 | 0.5 | 0.5 |
| 2003 | -1 | -0.2 | -1.2 | 0.5 | -0.3 | 0 | 1 | 1 | 0.1 | 0.1 | 0.9 | -0.4 | 0.4 |
| 2004 | -0.8 | -0.3 | 0.3 | 0.4 | 0.4 | 0.8 | 0.5 | 0 | -0.2 | 0 | 0.3 | 0.2 | 1.5 |
| 2005 | 0.1 | -0.7 | 0.8 | 0.5 | 0.3 | 0.3 | -0.8 | 0.6 | 0.6 | 0.4 | -0.3 | -0.3 | 1.5 |
| 2006 | -4.9 | 0.5 | 0.9 | 0.8 | 0.3 | 0.6 | 0.1 | -0.2 | 0.2 | 0.4 | 0.4 | 1.1 | 0.1 |
| 2007 | 0.6 | 0.1 | -0.2 | 0.3 | 0.1 | -0.3 | 0.3 | 0.8 | 0 | -0.8 | 0.3 | 1.8 | 2.8 |
| 2008 | 0.5 | -1.6 | 1.4 | -0.1 | 0.3 | 1.4 | -0.2 | -0.8 | 6.7 | -0.5 | -19.5 | 1.3 | -12.7 |
| 2009 | -0.5 | -1.2 | 2 | 0.4 | 1.1 | 1.1 | -0.3 | 0.4 | -0.9 | -0.3 | -0.2 | -0.2 | 1.4 |
| 2010 | 1.1 | 0.6 | 0.4 | 0.1 | 1.7 | 0.5 | 0.6 | 0.4 | -0.1 | 0.2 | -1 | 2 | 6.7 |
| 2011 | 0.8 | -0.7 | 1.2 | -0.2 | -0.1 | -0.4 | 1 | 0.3 | 0 | -0.8 | -0.4 | 0.4 | 1.1 |
| 2012 | 0.6 | 0.6 | 0.3 | 0.1 | 1 | 0.4 | 0.4 | 0.5 | 0.4 | 0.4 | 0.3 | 0 | 5 |
| 2013 | 1.5 | -0.5 | 0.4 | 0.2 | -1.2 | 0.2 | -2 | -0.3 | 0.8 | -2.2 | 0.5 | 0 | -2.7 |
| 2014 | 0.7 | 1.6 | -0.1 | -0.1 | 0.1 | 0 | 0 | 0.1 | 0.7 | 0.6 | -0.1 | 0.3 | 3.9 |
| 2015 | 0.4 | 1 | -0.1 | -0.3 | 0.4 | 0.9 | 0.3 | 0.8 | 0.1 | 0.4 | 0.7 | -0.3 | 4.3 |
| 2016 | -0.4 | 0.2 | 0.7 | 0.5 | 1.1 | 0.3 | -0.4 | 0.1 | 0.6 | 0.9 | -1.5 | 1.2 | 3.3 |
| 2017 | -0.2 | 0.4 | -1.2 | 0.2 | 0.9 | 0.9 | 1.2 | 0.3 | 0 | 0.2 | -0.1 | -0.2 | 2.5 |
| 2018 | -0.7 | 0.2 | 0.4 | -0.3 | 0.5 | -0.3 | -1.4 | -0.1 | -0.2 | 0.3 | 0.2 | 0.1 | -1.2 |
| 2019 | -0.1 | -0.1 | 0.2 | 0.6 | 0 | 0.3 | -0.3 | 0.1 | 0.5 | 0.9 | -0.1 | 0.2 | 2.2 |
| 2020 | 0 | -1 | -3.8 | 0.3 | 1.5 | 0.1 | 0.5 | 0 | 0.4 | 0.4 | 0.3 | -0.8 | -2 |
| 2021 | -0.3 | 0.7 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
